And so I began a process of listing my 5 favorite stocks. In November of 2012, I removed WNR from that list and I replaced it with Phillips 66. In January 2013, I replaced JBLU with HY. Now it’s time to remove GLT from that list.

I pay attention to earnings, and recently GLT announced their earnings. The quarterly EPS came in at $0.26, and in same quarter from the prior year it was at $0.32. This decline in earnings concerns me, as I’m worried that a stock can become a ‘value trap’. I want to see growth. Not only did the earnings decline, but they missed estimates by about $0.09. The stock dropped -6%.

To pick the stocks, I run a quant screen at home and that gives me a list of stocks. As it was written in the article:

Ken: Without using any complex math, can you describe how your model works?

Kai: Over many years, academic research has discovered a variety of factors that produce such abnormally high returns that efficient market theorists consider them to be anomalies. These factors are the intellectual framework behind a number of different investment styles such as Value, Growth, and Momentum investing. My model evaluates all publicly traded stocks against a broad array of factors and ranks them in order of “attractiveness” to the widest spectrum of institutional investors.

For example, a stock that has a low price to book ratio might only be attractive to Value investors. But a stock with a low price to book, some revenue or earnings growth, and some price appreciation, might attract interest from practitioners of 3 different investment styles so it would rank higher than the stock that just appeals to value investors.”

Ken: I’ve seen a lot of quant strategies that work great until they blow up. What keeps your model from blowing up?

Kai: Sometimes, with the quant approach, people will concentrate on one theme. For example, they might try to create a quant screen that looks for value stocks. Now, value will work for a while, but at some point it won’t work.

What I do, is that I try to create a robust screen, in that it looks at more than 30 factors from multiple themes. That way, if ‘value’ stops working then the screen is robust enough to catch the stocks that look good on growth, insider buying and quality. So, if one style fails, the other styles might kick in and perform well.

So, what stock do I replace GLT with? I like Bluegreen Corp. BXG has a low PE and a low price/book. It ranks near the top of my quant screen and there are other quants that like it as well. I'm not the only quant who likes it, as Dimensional Funds, BlackRock and Renaissance hold it as well.